"Trends in Quantitative Finance" by Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm

"Trends in Quantitative Finance" by Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
Research Foundation of CFA Institute | 2006 | ISBN: 1932495495 | 144 pages | File type: PDF | 2 mb
The current monograph focuses, strongly but not exclusively, on portfolio construction and includes the results of survey of the modeling practiced at 21 large asset management firms.

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Quantitative finance is broadly applied in three areas:
1) screening universes of securities to help select those one wants to buy (or sell short) in an effort to add alpha relative to a benchmark,
2) portfolio construction, in which optimization and related methods are used to build efficient portfolios of those securities,
3) pricing derivatives.

Contents
Foreword
Introduction
Chapter 1. Forecasting Financial Markets
Chapter 2. General Equilibrium Theories: Concepts and Applicability
Chapter 3. Extended Framework for Applying Modern Portfolio Theory
Chapter 4. New Territory: Modeling for Portfolio and Tactical Asset Management
Chapter 5. New Territory: Forecastability and the Long-Term Perspective
Chapter 6. Machine Learning
Chapter 7. Model Selection, Data Snooping, Overfitting, and Model Risk
Chapter 8. Predictive Models of Return
Chapter 9. Model Estimation
Chapter 10. Practical Considerations When Using Optimization Software
Chapter 11. Models in Practice: Industry Survey Results
Chapter 12. Quantitative Modeling Today and Tomorrow
References
with TOC BookMarkLinks
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